results Q1 2020 · 2) 2020 Q1 (vs 2019 Q1): equity participations -32m (10m), CVA/DVA/FVA -88m...

Investor RelationsInvestor Relations

results Q1 2020

13 May 2020

roadshow booklet

2

Highlights Q1, resilient going into Covid-19

Financials

▪ Significant impact of Covid-19, focus on wellbeing and safety of our clients and staff

▪ Q1 loss of 395m reflecting 1.1bn of impairments, alongside strong operational performance

▪ NII and fees held up, despite volatile markets

▪ Costs well controlled with continued delivery on cost-saving programmes

▪ Impairments reflect exceptional files and significant upfront provisioning for sub sectors immediately impacted by Covid-19 and oil price

▪ Resilient going into Covid-19

− Well diversified credit portfolio and targeted support measures from the government for clients

− Strong CET1 ratio at 17.3% 1,2) (c.14% Basel IV) and sound liquidity position

▪ Final dividend 2019 of 0.68 per share postponed (in line with ECB’s recommendation) and remains reserved

Outlook

▪ NII guidance of 1.5-1.6bn per quarter remains unchanged, NII expected to trend towards lower end of the range

▪ On track for c. 5.1bn of costs in 2020; cumulative savings achieved of c.950m towards target of c.1.1bn by 2020 3)

▪ Cost of risk of c.90bps or c.2.5bn of impairments expected for FY2020

▪ Update on strategic priorities, financial targets and capital after summer

1) CET1 ratio excludes reserve for final dividend of 2019 of 639m (57bps)

2) Resilient to stress as confirmed by 2018 EU-wide stress test

3) Targeted cumulative cost savings vs. FY2015 cost base

3

Firm commitment to deliver results

▪ Clear purpose and strategy around 3 strategic pillars

▪ Leading bank in the Netherlands with strong market positions

▪ Focused Private Bank with scalable franchise NW Europe

▪ Continuous IT rejuvenation and accelerated digital agenda

▪ Demonstrated cost discipline and focus on profitability

▪ Strong capital position, early anticipation of Basel IV

▪ Lead the bank through Covid-19

▪ AML investigation ongoing; continued focus to deliver on AML

remediation programmes

▪ Committed to de-risking and improving profitability CIB;

outcome ongoing review in August

▪ Update on strategy and strategic pillars after the summer;

reflected in update operational efficiency, capital and targets

▪ Further accelerate digital

▪ Continued focus on mitigating impact negative rates

Strong fundamentals CEO priorities

4

Banking for better, a compass during Covid-19

Sustainability Customer experience

Support our clients’ transition to

sustainability as a business case

▪ Automatic payment holidays for

targeted client groups with opt-out

▪ Client support to prevent payment

arrears e.g. Financial Grip coaches

▪ Actively support seniors in digital shift

imposed by lockdown

▪ Sharing computational power for

Covid-19 related research

▪ Laptops for home schooling of

underprivileged children

Future-proof bank

Effortless and proactive customer

experience through client and data focus

▪ Strong increase in video banking, with

high NPS appreciation

▪ Fast response to clients due to smart

integration communication channels

▪ Credit facility small SMEs to be

processed straight-through by New10

▪ Accelerated digital delivery, e.g. digital

signatures in the Commercial Bank

▪ Extension of limits contactless payment

reducing the need to touch terminals

Structure, capabilities and culture for

competitiveness and compliance

▪ Priority wellbeing and safety of

employees

▪ Fast leverage of working from home

platform

▪ Virtual call centres enabling client

interaction without interruption

▪ Staff reallocation to better serve clients

▪ Virtual onboarding employees, allowing

continued progress AML remediation

▪ AML remediation progressing, over

2,800 FTEs fully committed

5

Strong digital response enabled by investments in IT and digital

0%

25%

50%

75%

100%

CommercialBank

PrivateBank NL

Retail

February April

Digital banking well adopted Uplift video banking during lockdown

▪ Strong digital proposition and client adoption ensured seamless continuation of services; increasing use of mobile only

▪ Strategic investments in IT and digital offering enabled continued service to clients while working from home, including video banking

▪ Surge in clients’ need for information met through smart mix of communication channels, including chatbots and virtual call centres

▪ Swift execution of payment holidays, including opt-out, and government guarantee loans due to system and process flexibility

▪ Covid-19 accelerates the digital shift, creating further opportunities to improve customer experience and operational efficiency

Mobile client onboarding growing

0%

25%

50%

75%

100%

2018 Q4 2019 Q4 2020 Q1

Mobile only Online

0%

25%

50%

75%

100%

2019 Q1 2019 Q4 2020 04

Online Mobile only Branch

% total client meetings through video banking% retail clients digitally active Retail client onboarding by channel

6

Support for the Dutch economy and our clients

Dutch economy to outperform Eurozone in 2020 reflecting

intelligent lockdown and government support up to 100bn 1)

Income and salary support measures

▪ Labour retention package

▪ Salary compensation for the self employed

▪ Compensation for loss of turnover caused by health

measures

Liquidity and tax support measures

▪ Government guaranteed loans (>11bn)

▪ Deferrals of tax payments on income tax, corporate income

tax, wage tax and VAT

▪ Cancellation of tax penalties

▪ Easing of Dutch tax loss carry forward framework

Early announced payment holidays

▪ Retail: c.13k individual clients 3) and c.33k professionals & self

employed clients serviced by Retail participated

▪ SMEs: c.63k clients participated (90% clients in scope)

representing 50% of CB loans

▪ Customized approach for larger corporates and private clients

Co-operation between banks and government to timely

implement government guaranteed loan schemes

▪ Most facilities live, first guaranteed loans granted

▪ Client support desks expanded to facilitate fast roll out

▪ Government framework for loans <50k announced, through

New10

Government aims to minimise impact on Dutch economy ABN AMRO’s comprehensive client support 2)

1) List not exhaustive, more details here and here. EUR 100bn of support represents c. 15% of Dutch GDP. Dutch government debt was 49% of GDP at YE2019

2) Payment holidays with deferral of interest and principal: available as default option to all SMEs with facilities up to 50m (with opt-out possibility) and on a case-by-case basis available for other

identified client groups. Client numbers as of beginning of May 2020

3) Half mortgage clients and half consumer loan clients

Dutch government launched targeted measures aimed to minimize

impact on Dutch economy

By providing additional support measures ABN AMRO wants to be

part of the solution to help clients through Covid-19

https://www.government.nl/latest/news/2020/03/19/coronavirus-dutch-government-adopts-package-of-new-measures-designed-to-save-jobs-and-the-economy

https://business.gov.nl/corona/overview/the-coronavirus-and-your-company/

7

1) Gross carrying amounts of on balance sheet loans & receivables (Q1 2020)

2) Includes full sub sectors for CB, Oil & Gas and other individual files in CIB, selected professionals in Retail, leisure-related commercial real estate in Retail and Private.

More details on sub sectors on page 15

Diversified loan book and limited sector concentrations

Mortgages53%

Consumer loans4%

Corporates34%

Professional & other9%

EUR 278bn

Loans mostly Dutch and around half mortgages 1) Immediately impacted sub sectors Covid-19 and oil price 1,2)

▪ Majority of loans in strong Dutch economy, with clients having access to large scale support from government and ABN AMRO

▪ Mortgages are half the book and performed well through previous financial crisis, payment holiday requested by c.1% of clients

▪ Within CB c.20% immediately impacted sub sectors (mainly Transportation, Leisure and Non-Food Retail) and within CIB c.10%, largely

Oil & Gas reflecting lower prices

▪ All immediately impacted sub sectors provisioned (stage 2 & 3) at Q1. Additional impact on CIB mitigated by prior de-risking 2)

Retail/Private 2%

Corporates 6%

Rest of loan book92%

EUR 278bn

Immediately impacted 8%

o/w SMEs c.3%

o/w Oil & Gas (incl.

Offshore) c.2%

8

1) Low effective tax rate Q1 result of impairments in Asia with tax rate of around 13%

Disappointing net result alongside good operational delivery

EUR m 2020 Q1 2019 Q1 Delta

Net interest income 1,527 1,573 -3%

Net fee and commission income 438 414 6%

Other operating income -41 94

Operating income 1,924 2,081 -8%

Operating expenses 1,300 1,327 -2%

Operating result 624 754 -17%

Impairment charges 1,111 102

Income tax expenses 1) -92 174

Profit -395 478

▪ Q1 loss of 395m reflecting 1.1bn of impairments, alongside

strong operational performance

▪ NII impacted mainly by margin pressure on deposits due to low

interest environment

▪ Fees benefitted from increased trading flows, especially

Clearing

▪ Other income reflects mainly fair value adjustments

▪ Costs under control with continued delivery on cost-saving

programmes

▪ Impairments reflect two exceptional client files and significant

upfront provisioning for sectors most impacted Covid-19 and

oil price

▪ Able to apply tax loss carry back for loss in US Clearing

Key points

9

1) CAGR Q1 2019 – Q1 2020

2) FX impact 0.5bn Q-o-Q

Client lending stable

Mortgage client lending Corporate client lending

▪ Mortgage book stable while remaining price disciplined, market share of 15% in Q1 2020

▪ No immediate impact of Covid-19 expected on mortgage market; decline in transactions mitigated by high number of refinancings

▪ CIB loans up in Q1, mainly reflecting modest drawdowns on committed lines at quarter-end (largely placed on deposit) 2)

▪ Commercial Banking loan book flat, reflecting focus on margins in competitive environment

▪ Outlook: Corporate loan book expected to increase modestly mainly from further drawdowns on committed lines

Consumer loans client lending

EUR bn EUR bn EUR bnCAGR = -0.1% 1) CAGR = 0.8% CB, -1.2% CIB 1) CAGR = -2.2% 1)

147.9

148.2

147.6

125

135

145

155

Q1 Q2 Q3 Q4 Q1

2019 202045.4

41.2

44.4

43.5

42.6

42.9

20

30

40

50

Q1 Q2 Q3 Q4 Q1

2019 2020

CIB Commercial Banking

12.4

12.3

11.9

0

6

12

18

Q1 Q2 Q3 Q4 Q1

2019 2020

10

1) Around 52bn of deposits between 100k and 2.5m not subject to negative pricing. No negative rates on deposits below 100k (safeguarding c. 95% of clients)

2) Treasury results include various smaller items in Group Functions e.g.Tiering, Liquidity Management Costs

Net Interest Income holding up despite low interest rates

Net Interest Income (NII) and Net Interest Margin (NIM) Transition NII

EUR m NIM bps EUR m

1,5

73

1,5

86

1,5

27

90

120

150

180

900

1,200

1,500

1,800

Q1 Q2 Q3 Q4 Q1

2019 2020

Net interest income Incidental effects

NIM 4Q rolling avg.

▪ Resilient NII despite margin pressure on deposits due to low interest environment

▪ Adjusted for seasonally high prepayment penalties at Q4 2019, NII slightly down due to margin pressure and lower Treasury results 2)

▪ Negative pricing of deposits above 2.5m started as of 1 April, impacting c. 26bn of deposits 1)

▪ NII guidance of 1.5-1.6bn per quarter remains unchanged, though trending towards lower end of the range

1,5

86

1,5

27

c.-10 -10 -25c.-15

20

19

Q4

Lo

we

r fo

rlo

nge

r

Asse

t m

arg

ins

Pre

pa

ym

ent

pe

na

ltie

s

Tre

asu

ryre

su

lts

20

20

Q1

11

1) AuM declined by 28bn mainly due to lower market performance

2) 2020 Q1 (vs 2019 Q1): equity participations -32m (10m), CVA/DVA/FVA -88m (-7m), hedge accounting/RFT costs 40m (63m). 2019 Q1 had 34m provision for SME derivative-related issues

Fees strong in Q1, Clearing benefits from market volatility

Net fee income Other operating income

▪ Fees up 11% with Clearing benefitting from increased trading flows. Private and Commercial Banking also up, while Retail was flat

▪ Guidance on Fees unchanged at c.400m per quarter as certain businesses benefit from impact of Covid-19 (Clearing) and others are

negatively impacted (mainly PB 1) and ICS)

▪ Other income down, reflecting fair value adjustments (XVA and equity participations) 2) and lower hedge accounting/RFT. Guidance

remains at 100m per quarter long term, likely below long term guidance in coming quarters reflecting impact Covid-19

EUR m EUR m

394

396

438

20

0

250

500

Q1 Q2 Q3 Q4 Q1

2019 2020

Stater fee Net fee income (excl. Stater)

94 119

-41

-75

0

75

150

225

Q1 Q2 Q3 Q4 Q1

2019 2020

Other income Divestment effects

Guidance (100m)

XVA -88m

Equity Part. -32m

Hedge acc./RFT 40m

Other 39m

12

Costs well controlled, continued benefits from cost saving programmes

Operating expenses Transition operating expenses

EUR m EUR m

▪ Personnel expenses continue to trend down, reflecting divestments and decrease in pension costs

▪ Other expenses decreased driven by execution of cost savings programmes (digitalisation & process optimisation)

▪ AML costs in line with plan, execution progressing despite Covid-19

▪ On track for c.5.1bn of costs, cumulative savings achieved of c.950m towards target of c.1.1bn by 2020 1)

1) Targeted cumulative cost savings vs. FY2015 cost base. Covid-19 presents risks to timing of delivery of our structural cost savings programmes, but also opportunity for short term cost savings

567

550

531

589

636

570

0

500

1,000

1,500

Q1 Q2 Q3 Q4 Q1

2019 2020

Personnel Other expensesRegulatory levies Incidental effects

1,3

27

1,3

00

c.40

117-48

-20

-14

Q1 2

019

Cost savin

gpro

gra

mm

es

CLA

pensio

nre

late

d

Div

estm

ents

& A

cquis

itio

ns

AM

L c

ost

Investm

ents

Infla

tion

& le

vie

s

Q1 2

020

13

1) CIB clients reviewed case by case, CB reviewed by sub sector and RB reviewed by profession of the client. Review focussed on significant increase in credit risk, not (yet) captured by deterioration

of underling risk data

2) Application of payment holiday is no automatic trigger for a stage transfer or additional impairments

Substantial impairments at Q1

High impairments mainly in CIB Impact on impairments from Covid-19 and oil price

▪ Impairments comprise two exceptional client files in CIB, significant upfront collective impairments for Covid-19 and oil price, and

modest regular impairments

▪ US Clearing client defaulted from market dislocation, TCF exposed to potential fraud from oil trader in Singapore

▪ Impact of Covid-19 and oil price drop not yet fully captured by underlying client risk data, hence management overlay of 511m

upfront collective provisioning for all sectors immediately impacted, o/w 205m in Oil & Gas

▪ All clients to be re-evaluated case by case on underlying client risk data, with possible adjustment of impairments over next months

Clearing235

TCF225

511

140

CIB804

CB, 225

RB, PB, GF82

13% 46% 41% 1,111

Regular Covid-19and oil price

Exceptional clientfiles

2020 Q1

EUR m, %

511

Review of credits in sub sectors immediately impacted by Covid-19

and oil price 1,2):

Macro economic assumptions revised down (107m)

Payment holidays (35m): loss of compounded interest on deferrals

Stage 2 impairment (157m): transfer of all immediately impacted sub

sectors (125m), coverage ratio increase for Oil & Gas (32m) 2)

Stage 3 impairment (212m): of which 173m Oil & Gas and Offshore

14

6245

19 24

2019 FY

1) Q1 Group CoR of 132bps excludes impairment charges on off-balance exposures of 215m (CIB). Including off-balance impairments and related exposures, Group CoR was 164bps for Q1

2) CIB CoR including off-balance impairments and related exposures was 311bps for exceptional files

3) Including off-balance impairments recorded in 2020 Q1

4) Source: ABN AMRO Group Economic, 16 April 2020. Eurozone GDP of -4.3% 2020 and +1.6% 2021

Cost of risk outlook for 2020

Q1 Cost of risk by business line 1) FY2020 Cost of risk of c.90bps, c.2.5bn

bps

412bps

80

31 14 21

153

171

37

73

179

39

202bps

51bps

132bps

CIB CB R&PB ABN AMRO

Regular Covid-19 Exceptional client files▪ Q1 Cost of risk (CoR) of 132bps reflects exceptional files,

upfront impairments for Covid-19 & oil price and stable

underlying impairments 1)

− CIB: 179bps for exceptional files 2), 153bps for Covid-19

and low oil price, underlying impairments in line with 2019

− CB: 171bps for Covid-19, 31bps for regular client files

− R&PB: 37bps for clients applying for payment holidays,

14bps for underlying impairments in line with 2019

▪ CoR expected for FY2020 of c.90bps or c.2.5bn of

impairments 3)

▪ CoR outlook depends on lockdown implementation, timing of

economic recovery and government response. Assumes NL

GDP of -3.8% 2020 and +2.2% 2021 4), reflecting intelligent

lockdown in NL and no strong recovery before Q2 2021

15

1) YE2019 data. EAD includes off-balance exposures after credit conversion. EAD split by Industry Classification Benchmark (ICB)

2) Data 2020 Q1: Loans & Receivables in gross carrying amount & excluding off-balance exposures. Industries listed in table (right) are subsectors of ICB sectors listed in chart (left): e.g.

Transportation & Logistics is a smaller subsector of Industrial Goods & Services, Oil & Gas in table is CIB segment Oil & Gas whereas Oil & Gas in chart also includes e.g. TCF Energy

Well diversified loan book, largely in Netherlands

16.6%

6.4%

4.8%

4.6%

4.5%

3.8%

3.5%

1.6%

1.3%

1.2%

1.1%

1.1%

0.9%

0.8%

0.4%

0.4%

0.4%

0.3%

0.3%

0.3%

0.2%

Individuals

Public Admin,

Industrial G&S

Financials

Banks

Food & Beverage

Oil & Gas

Real Estate

Non-Food Retail

Unclassified

Basic Resources

Construction & Mat.

Health Care

Utilities

Travel & Leisure

Chemicals

Technology

Media

Insurance

Personal Goods

Automotive

Telecom

o/w 2.8bn

Transportation &

Logistics(Industrial Goods & Services)

▪ Stage 2 transfer: 2.5bn, o/w subsector transportation (road ~35%, land

~20%, sea ~20%, inland water ~15% and air ~5%)

▪ Well diversified exposures, max 65% LtV at origination, mostly senior

positions, largely collateralized

▪ Support measures available from Dutch government and ABN AMRO

o/w 4.8bn Oil & Gas

and 2.1bn Offshore

▪ Stage 2 transfer: 3.1bn from 4.8bn, reflecting US exposures, o/w 1.9bn

Upstream (1/3 in Oil, 2/3 in Gas and less sensitive to oil prices), 1.2bn

Midstream, 0.1bn LNG

▪ Reserve based lending price deck resets multiple time/year. Depletion

rate supports prices over time

▪ Offshore: previous de-risking resulted in no material transfers in Q1 for

Offshore (1.9bn) and Offshore vessels (0.2bn)

o/w 1.8bn Non-Food

Retail

▪ Stage 2 transfer: 1.4bn o/w largest subsectors automotive/motor

vehicles, car parts & accessories (~30%), household goods (~20%),

home decoration (~10%)

▪ Diversified portfolio, mostly clients with exposures <2.5m


o/w 2.1bn Leisure(Travel & Leisure)

▪ Stage 2 transfer: 1.7bn, o/w largest subsectors include hotels & resorts

(~40%), restaurants & bars (~15%), recreational services (~15%)

▪ Portfolio largely collateralized. Hotels: mainly (int.) chains, premium

locations


Loan book by sector 1) Largest corporate sub sectors immediately impacted by Covid-19 and oil price 2)

45.5%

EAD 389bn by sector (%)

CB CIB

16

1) 12 months rolling average

2) In the 2018 EBA Stress Test the CET1 ratio declined by 2.68% under the adverse scenario

3) RWA impact from TRIM and model review delayed to H2 2020, Definition of Default (impact c. 2bn) expected in Q2 2020, while DNB mortgage floor delayed until further notice

Resilient going into Covid-19: strong capital and sound liquidity position

Basel III CET1 ratio Risk weighted assets

▪ Strong CET1 ratio of 17.3% (c.14% BIV), large buffer to MDA trigger of 9.7%. Resilient to stress, confirmed by 2018 EBA stress test 2)

▪ Decision on final dividend for 2019 of 639m postponed and remains reserved and is excluded from CET1 ratio

▪ RWA increase reflects increase in credit & market risk. Further modest RWA increase expected reflecting underlying credit. Add-ons

delayed, Basel IV delayed to 2023 3)

▪ Capital targets maintained given current uncertainties (e.g. economic outlook and TRIM timing), will be reviewed later this year

▪ LCR strong, slight decline reflects temporary higher liquidity needs in Clearing, given strong increase in market volatility at the end

March

LCR is stable 1)

109.8

111.7

2.30.8

-1.2

20

19

Q4

Cre

dit

risk

Op

s.

risk

Mark

et

risk

20

20

Q1

4.6

%

18.1

%

17.3

%

-0.4%-0.3%

-0.1%

20

19

Q4

Ne

t re

su

lt

RW

A

OC

I &

Oth

er

20

20

Q1

CET1 ratio excludes

final dividend 2019

(57bps)

114% 113% 111% 114% 117%

134% 136% 135% 134% 133%

Q1 Q2 Q3 Q4 Q1

2019 2020

LtD LCR

RWA bn

additional slides

profile

18

1) Including Private Banking in the Netherlands

Attractive combination of strong and complementary businesses

Retail Banking Commercial Banking Private Banking

▪ Top 3 player in NL

▪ Prime bank for c.20% of

Dutch population

▪ Nr. 2 in new mortgage

production

▪ Nr. 2 in Dutch savings 1)

▪ Leading digital offering,

24/7 Advice and Service

Centres and branches

▪ Leveraging scale across

Europe

▪ Market leader in the

Netherlands

▪ 3rd in Germany, 5th in

France

▪ Multi-channel client

servicing

▪ Focus on IT, digital

banking and operational

simplification

▪ Leading player in the

Netherlands

▪ Service clients with a

turnover up to 250m

▪ Sector-based offering

▪ Leading player in leasing

and factoring in

NW-Europe

±5m

Low capital

intensity

Funding

gap

retail

clients

±100k 4

Funding

surplusLow capital

intensity

clients Present in

countries

±365k 5

Higher capital

intensity

Funding

balanced

Clients Present in

countries

Corp. & Inst. Banking

▪ Leading player in the

Netherlands

▪ Sector-based offering to

large corporates including

Natural resources, TCF,

GTL, FIs and Clearing

▪ Bringing more focus to

the client base to improve

profitability

▪ International presence in

key financial and logistical

hubs

±3k 14

Higher capital

intensity

Funding

gap

clients Present in

countries

118Branches

19

Netherlands 82%

Rest of Europe

10%

Rest of World 8%

Majority client loans in Dutch residential mortgages

Split of operating income (2020 YTD)

NII largely Dutch based and Dutch state divestment process

Large share of Dutch recurring income

▪ Shares outstanding 940m

▪ Free float (13 May 2020) 44%

▪ Avg. daily traded shares 1) 5.2m (Q1 2020)

Dutch state divestment process

▪ IPO, 23% 17.75 p.s., Nov 2015

▪ 2nd placing, 7% 20.40 p.s., Nov 2016

▪ 3rd placing, 7% 22.75 p.s., Jun 2017

▪ 4th placing, 7% 23.50 p.s., Sep 2017

1) Euronext Amsterdam

NII 79%

Fees 23%

Other -2%

EUR 1.9bn

RB 54%CB

15%

PB 5%

CIB 24%

GF 2%

EUR 278bn

Mortgages 53%

Consumer loans 4%

Corporate loans 34%

Prof. loans & Other 9%

Split of client loans (2020 YTD)

20

Liabilities HFT 4%

Banks 72%

Other 24%

30.0bn

EUR

Customer loans69%

Fin. investment

s12%

Sec. Fin.6%

Derivatives2%

Other 11%

Customer deposits

59%

Wholesale funding

22%

Sec. Fin.4%

Derivatives3%

Other 7%

IFRS Equity 5%

Assets Liabilities & Equity

Clean and strong balance sheet reflecting moderate risk profile

Total assets of EUR 406bn at 31 March

2020

▪ Strong focus on collateralised

lending

▪ Loan portfolio matches deposits,

long-term debt and equity

▪ Limited reliance on

short-term debt

▪ Limited market risk and trading

portfolios

▪ Off-balance sheet commitments &

contingent liabilities EUR 65bn

Cash/Cent banks58%

Assets HFT 4%

Banks 14%

Other24%

45.9bnEUR

Mortgages 53%

Consumer loans 4%

Corporate loans 34%

Other 9%

278.4bnEUR

Issued debt88%

SubDebt12%

87.9bnEUR

Current accounts

41%

Demand deposits 48%

Time deposits and other 11%

238.2bnEUR

21

Economic metrics 2018 2019 2020e 2021e

Netherlands GDP (% yoy) 2.5% 1.8% -3.8% 2.2%

Inflation (indexed % yoy) 1.6% 2.7% 0.9% 1.4%

Unemployment rate (%) 3.8% 3.4% 4.1% 5.0%

Government debt (% GDP) 52% 49% 54% 55%

Eurozone GDP (% yoy) 1.9% 1.2% -4.3% 1.6%

Inflation (indexed % yoy) 1.8% 1.2% 0.3% 1.1%

Unemployment rate (%) 8.2% 7.6% 8.3% 10.0%

Government debt (% GDP) 86% 87% 104% 106%

Source: ABN AMRO Group Economics 16 April 2020

Dutch economic indicators strong in European context

▪ International orientation

▪ Highly competitive: global rank no. 4

by the World Economic Forum and

highest ranked European country

▪ Sound financials: gov. debt 49%,

budget balance 1.7%

▪ External surplus current account

+10%

▪ Pension fund assets ~213%

Numbers as % GDP (2019)

Strong fundamentals NL

Dutch consumer spending Dutch consumer confidence

% change vs. same month a year ago, CBS Seasonally adjusted confidence (end of period), CBS

-3%

0%

3%

6%

2016 2017 2018 2019 2020

-30

-15

0

15

30

2016 2017 2018 2019 2020

LT avg. of -2

Dutch bankruptcies

# per month businesses & institutions, CBS

175

350

525

700

2015 2016 2017 2018 2019 2020

-2

April 2020

-22

22

Banking

for better,

for generations

to come

Purpose-led organisation to benefit all stakeholders

▪ Clients

▪ Investors

▪ Employees

▪ Society

Effortless and proactive customer

experience through client and data focus

▪ Continuously changing expectations

▪ Unbundling of value chains

▪ Megatrends

Societal and banking trends Stakeholder expectations

Support our clients’ transition to

sustainability as a business case

Structure, capabilities and culture for

competitiveness, efficiency & compliance

Three pillars to help us live our purpose throughout the bank

Future proof bankCustomer experienceSustainability

▪ Clear business opportunity

▪ Engage with clients to support the

transition to sustainable business

model

▪ Maintain strong DJSI score

▪ Lead by example

▪ Treasuring the customer relationship

▪ Customer-focused and data-driven

▪ Effortless and recognizable customer

experience

▪ Partner to deliver better services and

extend to adjacent industries

▪ Purpose-led and values-driven culture

▪ Product and process rationalisation

and optimisation

▪ Continued I&T improvements guided

by business needs

▪ Improving the employee journey

23

Sustainability as a business opportunity, responding to client needs

▪ Major shift towards sustainability

▪ Clear business opportunity

▪ Engage with clients to support the

transition to sustainable business model

▪ Risk profile of clients engaged in

sustainability is better

▪ Lead by example

1) GFK, 2 November 2018; Sustainability, a research on sustainable entrepreneurship

2) For 80% of clients sustainability is an agenda topic

Rationale Key levers Targets 2020

▪ Engagement strategy: pro-actively

approach clients to facilitate transition

▪ Knowledge & experience of sector,

products and technology

▪ Develop innovative financial products

& solutions, also with partners

▪ Stimulate knowledge sharing through

platforms and education

▪ Maintain strong DJSI score

▪ Renewable energy commitment 20%

of energy portfolio (15% at Q1 2020)

▪ EUR 3bn sustainability financing, incl.

circular (0.9bn at YE2019)

▪ AUM 22.5bn sustainable investments

(20.6bn at YE2019)

▪ Real estate portfolio to obtain an

average label A score by 2030

24

Reinventing customer journeys through client and data focus

Create new offerings and experiences

Sharpen value propositions for key client segments,

allowing us to reduce complexity

▪ Continue to extend self-service features

augmented by Chatbots

▪ Extending leading position in digital advisory &

sales

▪ Eliminating physical documents and wet

signatures in all key processes

▪ Real-time data-driven engagement, increasing

proactivity and client interactions through

marketing automation

▪ Continuous focus on cyber security and privacy

Extend strong digital position step-by-step

‘Zoom out’ to identify key customer experience

points and new business opportunities

▪ New Client Take On lead time in CB reduced

from 14 to 2 days

▪ Redesigning SME lending proposition from

scratch based on New10

▪ Next generation video banking developed, giving

access to expert advice anytime anywhere

▪ Innovative solutions: Tikkie & Grip to drive loyalty

and engagement with clients and prospects

▪ Leveraging on partners to deliver more revenues:

digital and automated accounting solution now

provided for SME clients

Reinvented

Customer Experience

Step-

by-StepReinvent

✓

✓

✓

25

Business models beyond traditional banking

▪ First bank in the Netherlands to

deliver open banking i.e. PSD2

API based financial services

▪ Digital and automated accounting

solution for SME clients co-

developed with Lyanthe

▪ Simplification and digitalisation of

rental agreements co-developed

with Stibbe

▪ Establish new partnerships and

ongoing fintech investments

through Digital Impact Fund

Leveraging on partners

26

Further digitalisation and automation of IT processes

Journey towards the sweet spot on track Unlocking potential for digitalisation

Right-sizing the IT spend by continuously managing the balance of efficient and

sufficient IT investments

IT C/I1)

Ratio (%)

Top

Quartile

(52.6%)

Northern and Central Europe European Union

Study Avg.

(13.2%)C/I Ratio1) (%)

30

90

60

50

Top Quartile

(10.9%)

Study Avg.

(61.1%)

205 10 15

2018

Type I

More technology &

automation?

Type II

How to leverage IT spending?

Type III

Do we overspend?

Type IV

Is this sustainable?

‘Sweet

spot’

2017

2019

Simplify product portfolio and consolidate

work to create synergies and scale

▪ Streamlining the product portfolio by

>50% through top-down and bottom-up

review

▪ Centralise, standardise and automate

mid-office and back-office processes

▪ Accelerate digitalisation and strengthen

central expertise to improve customer

experience

▪ Leverage data/AI capabilities to

automate decisions and address evolving

regulatory requirements

1) European IT Benchmarking in Banking 2017. C/I Ratio: operating expenses as a percentage of operating income. IT C/I Ratio: operating IT expenses as a percentage of operating income

27

Building a future proof bank through continuous IT transformation

Demand: Consolidate and focus

▪ Adopting shared platforms and solutions across business

lines, geographies and subsidiaries

▪ Continuous rejuvenation of the IT landscape; specific focus

on credit systems as well as financial & risk reporting

2,000

2018 2019

1,900

2022

2,200

Leading indicators

Reduction in number of applications since 2014 (accumulated)

70%97%

Public ¹)

100%

2017 2018

Private

3% 30%

2022

60125

550

2018 2019 2022

Number of teams with DevOps capabilities

Cloud delivery models split (%)

Key levers to increase focus and IT cost efficiency

Productivity: Automation and shift to cloud

▪ From Agile to DevOps: reducing time to market and improve

efficiency by further automating IT testing and deployment

▪ Increasing use of cloud-based services to allow for faster

adoption of new features and to pay based on usage

Supply: Standardise and right-source

▪ Standardising technology platforms and tools e.g. reducing

number of legacy platforms and tool-chains

▪ Optimising our off-shore delivery model

1) Including SaaS applications

additional slides

segment financials

29

Leading Retail Bank

Key features

▪ Leading Retail Bank in NL

▪ Focus on Dutch, mass affluent clients

▪ 5m clients, primary bank for 20% of Dutch population

▪ Strong digital focus: >1bn annual client contacts

▪ Revenue pressure due to continued low interest rates

▪ Efficiency drives stable and strong ROE

Financials and key indicators Financials and key indicators

EUR m Q1 2020 Q1 2019

Net interest income 678 752

Net fee and commission income 86 85

Other operating income 4 15

Operating income 768 852

Operating expenses 502 498

Operating result 265 355

Loan impairments 67 2

Income tax expenses 48 90

Profit for the period 150 263

Contribution bank operating income 39.9% 41.0%

Cost/income ratio 65.4% 58.4%

Cost of risk (in bps) 14 0

ROE 1) 15.0% 27.4%

EUR bn Mar 2020 YE2019

Client lending 151.8 152.8

Client deposits 89.6 90.4

Client assets 98.5 101.3

RWA 27.6 28.4

FTEs (#) 4,405 4,340

1) Based on 13.5% CET1

30

1) Loans & Receivables (mortgages, net of allowances), Q1 2020

Mortgages performed well through previous financial crisis

Partial interest only

30%

Full interest only

16%

Amortising34%

Savings9%

Life & other11%

17.1

%

24.8

%

11.0

%

12.9

%

32.5

%

1.8

%

23.0

%

35.4

%

10.2

%

6.3

%

1.0

%

0.5

%

<5

0%

50

-80%

80

-90%

90

-100

%

>1

00%

Un

-cla

ssifie

d

YE2012

Q1 2020

Business exposures 1) LtMVs reduced over time

▪ Mortgage book almost exclusively Dutch, a stronger presence in the Randstad area, almost a quarter of book is NHG mortgages

▪ Origination criteria include duty of care, affordability and loan to income set by regulator

▪ Products offered are primarily owner-occupied mortgages and fully amortising over a 30-year life

▪ Clients tend to fix interest rates for long period, with over 90% of mortgage book in fixed interest rates

▪ Full recourse to borrower. Mortgage book composition de-risking towards fully amortising loans, share of interest only continues to

decline. Strong historic performance of the mortgage book with low losses

Strong risk track record

Mortgages

EUR 148bn

CoR, bps

-15

0

15

30

'12 '13 '14 '15 '16 '17 '18 '19 '20

Avg. TTC CoR range

Cost of Risk

4Q Rolling CoR

Q1 2020 avg. indexed LtMV at 63% (61% excl. NHG)

31


Sector oriented Commercial Banking

Key features

▪ Leading market positions and strong brand name

▪ 365k small-mid sized Dutch clients

▪ Primary bank for 25% of Dutch enterprises

▪ Sector knowledge as a clear differentiator

▪ Strict credit risk management and monitoring


EUR m Q1 2020 Q1 2019








Income tax expenses -11 38

Profit for the period -31 110




ROE 1) -3.0% 11.6%




RWA 30.0 29.2

FTEs (#) 2,136 2,470

32

SMEs – Commercial Banking book well diversified over industry sectors

Business exposure 1) Exposure over time 1)

▪ Leading bank in Dutch market based on in-depth client and sector knowledge, primary bank for ~25% Dutch clients

▪ Product offering: mainly loans (c. 60% of revenues), cash management (c. 25%) and transaction services (c.10%), within Asset

Based Financing (ABF) lease and factoring are offered, also outside the Netherlands

▪ In-house product development of digital offering, fintech products and services, such as New10 and Tikkie Zakelijk

▪ Renewing and diversifying offerings through partnerships focusing on non-banking products & services to generate additional (fee)

income

▪ Well diversified portfolio which is

reflection of Dutch SME landscape

▪ Automated risk monitoring following

payment behavior

▪ CRE (part of Real Estate) largely in

NL and mainly in large cities, includes

31% residential, 17% offices, 16%

retail and 11% industrial, with avg LtV

of 42% (YE2019)

Risk profile

39.642.9

YE2017 2020 Q1

L&R CustomersFood & Beverage19%

Real Estate19%

Financial Services 2%

Industrial Goods & Services 12%

Retail6%

Other7%

Health Care4%

Construction & Materials4%

ABF21%

Travel & Leisure 5%

Loans &Receivables

42.9bn

1) Loans & Receivables (net of allowances), Q1 2020

EUR bn

33


2) 31 March 2020 client assets by type: 38% cash and 62% securities (incl. custody 13%)

Focused Private Banking with scalable franchise in NW Europe

▪ Leveraging scale across core countries with focus on onshore

in NW Europe through strong local brands

▪ Focus on Private Wealth Management, Entrepreneurs &

Enterprise and LifeCycle segments

▪ Strong positions: #1 Netherlands, #3 Germany, #5 France

▪ Modern open architecture model

Financials and key indicators Key features

EUR m Q1 2020 Q1 2019








Income tax expenses 14 20

Profit for the period 28 40




ROE 1) 7.1% 10.9%




Client assets 167.3 195.2

RWA 10.2 10.1

FTEs (#) 2,872 2,751

Client assets NL and rest of Europe 2)

EUR bn

▪ Client assets down to 167bn

▪ Decrease reflecting poor

market performance and

controlled cash outflow due

to announcement of charging

negative rates

182 195167

2018 2019 2020 Q1

NL r.o. Europe

34

Corporate & Institutional Banking with selective international presence

Key features

▪ 3,000 large corporate and financials clients in NW Europe and

specific global sectors

▪ Leading domestic franchise, established positions in selected

global sectors

▪ Sector knowledge leveraged to neighbouring countries

▪ Continue de-risking cyclical sectors and conduct further review

of CIB’s activities


EUR m Q1 2020 Q1 2019



Other operating income 1) -102 -3


Operating expenses 1) 298 289



Income tax expenses -161 27

Profit for the period -575 76




ROE 2) -42.1% 6.2%




Professional lending 22.4 14.8

Professional deposits 14.3 10.0

RWA 3) 39.5 37.9

FTEs (#) 2,457 2,517

1) Q1 2019 includes several incidentals: SME derivatives provisions (-34m in other operating income), SME derivatives project costs (10m)


3) Includes anticipating TRIM and model review add-ons

35


Clearing – Solid business with ROE above 10%

Impairments

▪ Clearing offers an integrated approach to global transaction processing, financial logistics and risk management for clients active on

international capital markets with direct market access

▪ Clients are principal trading groups, corporate hedgers and prime brokerage clients

▪ Products offered include: trading with direct market access, clearing, settlement, financing and securities borrowing & lending

▪ Footprint in 11 countries in Europe, the America’s and Asia/Pacific

Risk profile

-5 -1 -2 -4 -0

1

15

2012

2013

2014

2015

2016

2017

2018

2019

2020Q

1

Impairments, EUR m ▪ Clearing guarantees obligations

towards clearing houses and other

third parties from client trading

▪ Runs indirect market risk through

clearing & financing activities

▪ Collateral mitigates risks from client

trading. Margin and collateral calls

increase when volatility rises

▪ Good track record in managing risk

throughout volatility, generally with

minor impairments: Q1 first material

loss due to unprecedented market

volatility

Strong ROE 1)

8.2%

5.5%

10.9%

16.8%18.8%

11.4%

22.5%

13.7%

2012

2013

2014

2015

2016

2017

2018

2019

234

36

1) Loans & Receivables (net of allowances), Q1 2020. c.25-30% of Energy & Metals (E&M) is in Metals (metal concentrates, steel and base metals)

TCF incl. D&JC – Focus on further de-risking

Business exposures 1) Exposure over time 1)

▪ TCF offers a range of debt facilities including structured credit facilities, often complemented with trade instruments/services

▪ In addition cross sell income is generated on Clearing, Structured Finance, Global Markets and M&A advisory. Clients are serviced

with cash management, syndications and other CIB products (incl. capital and advisory services and products)

▪ TCF has dedicated sector teams in Amsterdam, New York, Dallas, Hong Kong, Singapore, Shanghai and Sao Paulo

▪ Diamond & Jewellery Clients (D&JC) finances primarily rough and polished diamond traders based on borrowing base facilities.

Mainly active in Belgium and a smaller presence in Hong Kong

▪ Mainly short-term lending, book 2/3

collateralised

▪ Clients generally do not take open

positions and are hedged

▪ Effective de-risking Diamonds (US

closed, Dubai portfolio in rundown)

▪ Credit quality improved reflecting de-

risking of lower quality clients in TCF

▪ Impairment risk typically relates to

fraud: in past 10 years 75% of

impairments was fraud related

Risk profile

5.1 4.3

6.55.0

1.1

0.5

12.6

9.8

YE2017 2020 Q1

Diamond & JC

Energy & Metals

AgriCulture

Agri NL 14%

Agri SG13%

Agri US8%

Agri BR9%

E&M NL25%

E&M SG 10%

E&M HK 6%

E&M CH 1%

E&M US 9%D&JC 5%

Loans &Receivables

9.8bn

EUR bn

37

1) Loans & Receivables (net of allowances), Q1 2020. EAD Oil & Gas of 14bn (as reported in Annual Report 2019) includes CIB segment Oil & Gas and TCF Energy

Oil & Gas related exposures show continued de-risking

Drilling, Seismic & Accommodation 6%

Energy Services 6%

Floating Production 12%

Other Offshore2%

Upstream48%

Midstream19%

LNG7%

OSV 0%

Loans &Receivables

6.4bn

Business exposure 1) Exposure over time 1)

Oil & Gas (O&G)

▪ The majority of Oil & Gas exposure is in the US. Upstream is largest sub sector followed by Midstream and LNG

▪ Key products are syndicated senior secured credit facilities (Borrowing Bases and Term Loans)

Offshore

▪ The majority of Offshore activities is from Northern European clients

▪ Offshore subsectors: Largest segment is Floating Production (contracted cashflow) followed by Energy Services (diversified players),

and Drilling, Seismic and Accommodation companies (most volatile to prolonged downturn)

▪ Key products are syndicated credit facilities (Revolvers and Term Loans) and Guarantees/LCs

▪ Lending typically secured by

extensive security packages

▪ Majority of O&G clients have hedge

programs in place. Offshore clients

with limited contract backlog exposed

to prolonged downturn

▪ De-risking ongoing in both O&G and

Offshore. In Offshore de-risking

primarily took place in drilling, seismic

& accommodation

Risk profile

4.1 4.7

2.7 1.6

0.30.1

7.16.4

YE2017 2020 Q1

OSV Offshore Oil & Gas

EUR bn

38

Group Functions for central support functions

▪ Group Functions supports and controls the businesses

▪ Through various disciplines: Strategy & Sustainability,

Innovation & Technology, Finance incl. ALM & Treasury, Risk

Management, Legal, Compliance, Group Audit,

Communication and Human Resources

Financials and key indicators

EUR m Q1 2020 Q1 2019

Net interest income 21 -46

Net fee and commission income -10 12




Operating result 53 -14

Loan impairments 1 -1

Income tax expenses 18 -1

Profit for the period 34 -11


Loans & Advances Customers 5.5 4.7

Due to Customers 6.1 2.7

RWA 4.4 4.1

FTEs (#) 6,492 5,899

additional slides

capital, liquidity & funding

40

Strong capital position

Regulatory capital structure 1) Key points

▪ CET1 at 17.3%, modestly below Basel III target range of

17.5-18.5% 2)

▪ Decision on final dividend (639m) for 2019 postponed,

remains reserved and is not accrued in CET1 ratio

▪ RWA increase reflects increase in credit & market risk.

▪ ECB announced capital relief to support banks in serving the

economy: temporarily allowed to operate below P2G and

CCB buffers, SRB-OSII buffer permanently lowered, CCyB

temporarily lowered in several countries

▪ Total capital ratio at 25.2%

▪ Robust Basel IV capital position of c. 14% before further

mitigations

Mar 2020 YE2019EUR m, fully-loaded

Total Equity (IFRS) 20,737 21,471

Regulatory adjustments -1,422 -1,558

CET1 19,315 19,913

Capital securities (AT1) 1,983 1,987

Regulatory adjustments -1 -5

Tier 1 21,298 21,895

Sub-Debt 10,347 10,041

Regulatory adjustments -3,541 -3,505

Total capital 28,105 28,431

o/w IRB Provision shortfall - 93

Total RWA 111,704 109,825

o/w Credit risk 91,412 89,071

o/w Operational risk 18,148 19,391

o/w Market risk 2,144 1,362

CET1 ratio 17.3% 18.1%

1) Regulatory capital structure ABN AMRO Bank for both YE2019 following the legal merger

2) SREP requirement 2020 excl. counter-cyclical buffer of 0.02% at 9.7% (Pillar 1 4.5%, Pillar 2 Requirement 1.2%, Capital conservation buffer 2.5% and SRB-OSII 1.5%)

41

1) CET1 capital requirement: P1 = Pillar 1, P2R = Pillar 2 Requirement (incl. AT1 shortfall, if any), SRB-OSII = highest of Systemic Risk and Other Systemically Important Institution

Buffer, CCB = Capital Conservation Buffer, CCyB = Countercyclical Capital Buffer, MDA = Trigger level for Maximum Distributable Amount

2) CRR2 expected by mid-2021. CRR2 assumes SA-CCR calculation methodology for clearing guarantees, decrease of Exposure Measure estimated at c.79bn

Regulatory measures provide temporary capital relief

Capital requirement lowered 1) Large buffer to SREP and MDA

▪ ECB announced capital relief to support banks in serving the economy: temporarily allowed to operate below P2G and CCB buffers,

SRB-OSII buffer permanently lowered, CCyB temporarily lowered in several countries.

▪ P2R amended with immediate effect allowing use of Tier 2 and AT1 instruments releasing CET1

▪ Decision on final dividend of 639m for 2019 postponed and remains reserved and is excluded from CET1 ratio

▪ Large buffer of 7.5% CET1 to MDA trigger level of 9.7%, temporary CCB relief has no impact on SREP and MDA trigger level

▪ Leverage ratio declined to 4.1% and reflects mainly increased activities in Clearing and Q1 result. Starting to manage business under

pro-forma CRR2 since strengthened 2)

Leverage ratio 2)

P1

P2R

SRB-OSII

CCB

CCyB

17.3%

9.7%

7.5%

CET1% Buffer SREP & MDA

4.1

%

4.8

%

0.73%

-0.12%

-0.30%

4.5

%20

19

Q4

T1 C

apital

Exp

osu

reM

ea

sure

20

20

Q1

CR

R2

Pro

fo

rma

20

20

Q1

4.5% 4.5%

2.0% 1.2%

3.0%

1.5%

2.5%

2.5%

0.1%

0.02%

SREP & CCyB12.1%

SREP & CCyB9.7%

Formerrequirement

Currentrequirement

42

1) Based on actual YE2019 BIII RWAs versus YE2019 BIV RWAs including realised mitigations

2) Risk weights prior to the application of the 72.5% output floor

Well positioned for Basel IV from 2023

BIS announced Basel IV implementation delayed until January 2023, timelines for EU implementation remain uncertain

▪ Active regulatory dialogue on uncertainties: eg indexing mortgage collateral, specialised lending risk weights

▪ Implement low cost and no regret actions: eg reduce data limitations

▪ Cautious approach to repricing to safeguard franchise through implementation uncertainties and transition

Response Objective Actions

Mitigations of c.20%

of Basel IV inflation 1)

Reduce

RWA

inflation

Specific initiatives to reduce static Basel IV RWA inflation

▪ Enhance data quality: eg source turnover to identify SME’s, source real estate information to better

distinguish between CRE to RRE

▪ Rationalise product offering: eg from committed to uncommitted, reduce undrawn headroom in

credit lines, restructure clearing credit lines, centrally clear securities transactions

▪ Source collateral information: eg financial collateral lowers exposure, improve data sourcing

▪ Procure external credit ratings: externally rated clients can have risk weight <100% 2)

Reduce capital

intensive activities

Reduce

RWAs

▪ Focus on reducing NPLs

New business model Enhance

returns

▪ CIB adopts more capital efficient business model, i.e. active portfolio management, originate to

distribute, increase risk mitigation

▪ CB: co-lending partners, credit insurance

▪ RB: externally funded long-term mortgage platform

Pricing Enhance

returns

▪ Mortgages priced for Basel IV requirements for some time

▪ Pricing for long term products allows for Basel IV phase-in: eg CRE, Shipping

▪ CB: sector based pricing

43

1) Leverage ratio ABN AMRO Group before Q2 2019, leverage ratio ABN AMRO Bank as of Q2 2019 reflecting legal merger

2) CRR2 assumes SA-CCR calculation methodology for clearing guarantees and is estimated to decrease Exposure Measure by c.78bn

Capital ambitions on track

Leverage ratio 1, 2) Limited MREL needs, focus on MREL refinancing

▪ Strong leverage ratio at 4.1%, decline reflects mainly

increased activities in Clearing and Q1 result

▪ Including CRR2 leverage ratio increases to 4.8% 2)

▪ EC proposal to amend exposure to central banks could

improve leverage ratio temporarily by c.30bps

▪ Preliminary MREL ambition of 27% of RWA by 2022

requires around 2-4bn issuance yearly, full MREL

requirement applicable from 2024

▪ MREL steering through own funds and SNP, excludes use of

senior unsecured, inaugural SNP issuance in January 2020

▪ Future steering subject to regulatory guidance, BRRD2,

CET1 developments, redemptions and RWA inflation

Leverage ratio (CDR) based on Tier 1 (CET1 and AT1) capital EUR bn

108.0

109.8

111.9

28.8%

27%

28%

29%

30%

95

102

109

116

Q1 Q2 Q3 Q4 Q1

2019 2020

RWA (lhs) MREL (rhs, %)

4.1

%

4.5

%

4.1

%

4.8

%

Q1 Q2 Q3 Q4 Q1 Q1 PF

2019 2020

Leverage ratio Exposure Measure

44

Capital instruments provide a significant buffer of loss absorbing capacity

AT1 disclosures (31 March 2020)

TriggersTrigger

LevelsCET1 ratio

Distr. Items

(EUR bn)

- ABN AMRO Bank 7.000% 17.3% 17.7bn

- ABN AMRO Bank Solo Consolidated 5.125% 16.7% n/a

MDA trigger for ABN AMRO Bank at 9.7%, incl. counter-cyclical-buffer (0.02%)

1) SNP debt instruments are eligible as Qualifying Junior Debt (QJD) for the benefit of senior preferred debt instruments under Fitch’s rating methodology

Eligibility based on current understanding

Type Size (m)Loss

absorptionCallable Maturity Coupon ISIN

Basel 3 /

CRD 4

BRRD

MREL

FSB

TLAC

S&P

ALAC

Moody’s

LGF

Fitch

QJD

Additional Tier 1: deeply subordinated notes

AT1, 9/2015 EUR 1,000 Statutory Sep 2020 Perpetual 5.750% p.a. XS1278718686 ✓ ✓ ✓ ✓ ✓ ✓

AT1, 9/2017 EUR 1,000 Statutory Sep 2027 Perpetual 4.750% p.a. XS1693822634 ✓ ✓ ✓ ✓ ✓ ✓

Tier 2: subordinated notes

T2, 4/2011 EUR 1,228 Statutory Bullet 27 Apr 2021 6.375% p.a. XS0619548216 GF ✓ ✓ ✓ ✓ ✓

T2, 4/2011 USD 595 Statutory Bullet 27 Apr 2022 6.250% p.a. XS0619547838 GF ✓ ✓ ✓ ✓ ✓

T2, 6/2011 USD 113 Statutory Bullet 15 May 2023 7.750% p.a.144A: US00080QAD79

RegS:USN0028HAP03GF ✓ ✓ ✓ ✓ ✓

T2, 6/2015 EUR 1,500 Statutory Jun 2020 30 Jun 2025 2.875% p.a. XS1253955469 ✓ ✓ ✓ ✓ ✓ ✓

T2, 7/2015 USD 1,500 Statutory Bullet 28 Jul 2025 4.750% p.a.XS1264600310

US00080QAF28✓ ✓ ✓ ✓ ✓ ✓

T2, 4/2016 SGD 450 Statutory Apr 2021 1 Apr 2026 4.750% p.a. XS1341466487 ✓ ✓ ✓ ✓ ✓ ✓

T2, 4/2016 USD 1,000 Statutory Bullet 18 Apr 2026 4.800% p.a.XS1392917784/

US00084DAL47✓ ✓ ✓ ✓ ✓ ✓

T2, 1/2016 EUR 1,000 Statutory Jan 2023 18 Jan 2028 2.875% p.a. XS1346254573 ✓ ✓ ✓ ✓ ✓ ✓

T2, 3/2016 USD 300 Statutory Bullet 8 Apr 2031 5.600% p.a. XS1385037558 ✓ ✓ ✓ ✓ ✓ ✓

T2, 3/2017 USD 1,500 Statutory Mar 2023 27 Mar 2028 4.400% p.a. XS1586330604 ✓ ✓ ✓ ✓ ✓ ✓

Subordinated notes (pari passu with T2)

7/2012 EUR 1,000 Statutory Bullet 6 Jul 2022 7.125% p.a. XS0802995166 ✓ ✓ ✓ ✓ ✓

EUR 118 Statutory ≤ Jan 2025 Various instruments ✓ ✓ ✓ ✓ ✓

Senior Non-Preferred

SNP: 1/2020 EUR 1,250 Statutory Bullet 15 Jan 2027 0.600% p.a. XS2102283061 ✓ ✓ ✓ ✓ ✓ ✓ 1)

Overview dated at the date of this presentation. GF = grandfathered instruments, subject to annual amortisation

45

1) 12 month rolling average

2) Survival period reflects the period the liquidity position is expected to remain positive in an internally developed (moderate) stress scenario.

This scenario assumes wholesale funding markets deteriorate and retail, private and corporate clients withdraw part of their deposits

Sound liquidity position, strong liquidity buffer

Q1 2020 Q4 2019

LtD 117% 114%

LCR 1) 133% 134%

NSFR >100% >100%

Survival period (moderate

stress) 2)

>12

months

>12

months

Sound liquidity position Strong liquidity buffer

▪ Strong liquidity and funding position, with c.4bn issued in term funding Q1, including the inaugural SNP issuance

▪ LCR decline reflects temporary higher liquidity needs in Clearing, given the strong increase in market volatility

▪ Additional drawdowns from clients on committed lines following market dislocations were modest and largely placed on deposit

▪ Liquidity buffer declined to 70.8bn reflecting collateral usage with ECB for USD liquidity (in anticipation of market disruptions) in

combination with a decline in deposits following the lowering of client rates

▪ Future funding need through combination of central bank and wholesale funding, depending on market circumstance

Modest drawdowns committed lines

11.7

30.4

12.5

11.2

27.4

11.4

CB CIB Otherbusiness lines

2019 Q4

2020 Q1

Undrawn committed lines, EUR bn

35.5

70.8

Wholesale maturities ≤1yr

Liquiditybuffer

EUR bn, Q1 2020

46

EUR 83%

GBP 17%

Cov. Bonds 51%

Sr Non-Preferred 32%

Sr Preferred 17%

1) Based on notional amounts. Other LT funding not classified as issued debt includes TLTRO II, LT repos and funding with the Dutch State as counterparty

2) Issued and matured funding includes the repayment of TLTRO I in 2016 and the participation of TLTRO II

Well diversified mix of wholesale funding

▪ Diversifying funding sources, steered towards a mix of

funding types and maturity buckets

▪ Strategic use of secured funding: long dated covered bonds

to fund mortgages with long interest fixings

▪ Asset encumbrance 17% at YE2019 (19% YE2018)

▪ Avg. maturity of 4.8yrs at YE2019 1)

Funding focus

Matured vs. issued term funding 2)Maturity calendar term funding 1)

14

40

10

20

2014 2015 2016 2017 2018 2019 2020

Matured/Maturing Issued

EUR bn

0

9

18

2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 ≥2030

Snr unsecured Cov. bonds Other LT funding

EUR bn, 31 March 2020

Diversification issued term funding (2020ytd)

EUR

3.9bn

47

1) Table provides an overview of wholesale funding benchmark transactions not yet matured. S(N)P = Unsecured Senior (Non-)Preferred, CB = Covered Bond, AT1 = Additional Tier 1 , T2 = Tier 2

2) 3mE = 3 months Euribor, 3m£L = 3 months GBP Libor, 3m$L= 3 months USD Libor, m/s = mid swaps, UKT= UK Treasuries, UST= US Treasuries

Recent wholesale funding benchmark transactions

Type 1) Size (m) Maturity Spread (coupon) 2) Pricing date Issue date Maturity date ISIN

YTD2020 benchmarks

SP GBP 500 5yrs UKT+80 (1.375%) 09.01.'20 16.01.'20 16.01.'25 XS2103007675

SNP EUR 1,250 7yrs m/s+70 (0.6%) 08.01.'20 15.01.'20 15.01.'27 XS2102283061

CB EUR 2,000 15yrs m/s+5 (0.375%) 07.01.'20 14.01.'20 14.01.'35 XS2101336316

2019 benchmarks

CB EUR 825 20yrs m/s+11 (1.125%) 15.04.'19 23.04.'19 23.04.'39 XS1985004370

SP (Green) EUR 750 7yrs m/s+38 (0.5%) 08.04.'19 15.04.'19 15.04.'26 XS1982037696

SP EUR 1,500 5yrs m/s+78 (0.875%) 08.01.'19 15.01.'19 15.01.'24 XS1935139995

SP EUR 1,000 2yrs 3mE+40 08.01.'19 15.01.'19 15.01.'21 XS1935134095

CB EUR 750 15yrs m/s+26 (1.375%) 03.01.'19 10.01.'19 10.01.'34 XS1933815455

2018 benchmarks

SP EUR 750 3yrs 3mE+40 26.11.'18 03.12.'18 03.12.'21 XS1917574755

SP EUR 1,250 3yrs m/s+35 (0.25%) 26.11.'18 03.12.'18 03.12.'21 XS1917577931

SP (144a) USD 1,000 3yrs 3m$+57 21.08.'18 28.08.'18 27.08.'21 US00084DAS99

SP (144a) USD 1,000 3yrs UST+75 (3.4%) 21.08.'18 28.08.'18 27.08.'21 US00084DAT72

SP EUR 1,250 5yrs m/s+35 (0.5%) 09.07.'18 17.07.'18 17.07.'23 XS1856791873

SP GBP 450 2yrs 3m£+35 22.05.'18 29.05.'18 29.05.'20 XS1827629897

SP (Green) EUR 750 7yrs m/s+28 (0.875%) 11.04.'18 18.04.'18 22.04.'25 XS1808739459

CB EUR 1,250 20yrs m/s+8 (1.45%) 03.04.'18 12.04.'18 12.04.'38 XS1805353734

SP (144a) USD 1,100 3yrs UST+60 (2.65%) 09.01.'18 19.01.'18 19.01.'21 US00084DAQ34

SP (144a) USD 750 3yrs 3m$+41 09.01.'18 19.01.'18 19.01.'21 US00084DAR17

CB EUR 2,000 15yrs m/s+2 (1.25%) 02.01.'18 10.01.'18 10.01.'33 XS1747670922

48

▪ Ratings of ABN AMRO Bank N.V. dated 13 May 2020. ABN AMRO provides this slide for information purposes only. ABN AMRO does not endorse Standard & Poor’s, Fitch or Moody’s ratings or views

and does not accept any responsibility for their accuracy

▪ Capital ratings are (S&P/Moody’s/Fitch): AT1: BB+ / not rated / BBB-, T2: BBB / Baa2 / A-, SNP: BBB+ / Baa2 / A+

▪ DBRS provides unsolicited ratings for ABN AMRO Bank: A(high)/R-1(middle)/Stable

Credit ratings

S&P Moody’s Fitch

Rating structure Rating structure Rating structure

▪ Anchor BICRA 3 bbb+ Macro Score Strong + ▪ Viability Rating A

▪ Business position Adequate +0 ▪ Solvency Score a3 ▪ Qualifying Junior Debt +1

▪ Capital & earnings Strong +1 ▪ Liquidity Score baa2 ▪ Support Rating Floor No floor

▪ Risk position Adequate +0 Financial Profile baa1 Issuer Default Rating A+/Neg

▪ Funding

Liquidity

Average

Adequate+0 ▪ Adjustments +0

SACP a- Assigned adj. BCA baa1

▪ ALAC +1 ▪ LGF +2

Issuer Credit Rating A/Neg ▪ Government Support +1

Senior Unsecured Rating A1/St

09/04/2020

“The negative outlook on ABN AMRO Bank reflects

our views that the bank's earnings are under rising

pressure due to heightened risks in its lending

portfolio, and other business areas sensitive to

financial market volatility, and ongoing costs to

remedy the compliance and know-your-customer

case. Some of these risks are common to peers in

Europe, but others are more bank-specific, notably

exposures to cyclical sectors and risk tolerance in

the clearing business.“

02/01/2020

“ABN AMRO's baseline credit assessment (BCA) of

baa1 reflects the bank's overall good financial

fundamentals including sound profitability and asset

quality, solid capitalization and a robust liquidity

position. The BCA further captures the bank's strong

presence in the Dutch market, its balanced business

mix between retail and commercial banking, and its

private banking activity undertaken across Europe.”

17/01/2020

“ABN AMRO’s VR reflects its strong domestic

universal banking franchise complemented by the

European private banking and international

corporate & institutional banking (CIB) franchises.

The bank's solid capitalisation and

sound funding and liquidity profile are rating

strengths. The VR also factors in ABN AMRO's

well-executed strategy, healthy asset quality and

sound earnings..”

49

For the purposes of this disclaimer ABN AMRO

Bank N.V. and its consolidated subsidiaries are

referred to as "ABN AMRO“. This document (the

“Presentation”) has been prepared by ABN

AMRO. For purposes of this notice, the

Presentation shall include any document that

follows and relates to any oral briefings by ABN

AMRO and any question-and-answer session

that follows such briefings. The Presentation is

informative in nature and is solely intended to

provide financial and general information about

ABN AMRO following the publication of its most

recent financial figures. This Presentation has

been prepared with care and must be read in

connection with the relevant Financial

Documents (latest Quarterly Report and Annual

Financial Statements, "Financial Documents").

In case of any difference between the Financial

Documents and this Presentation the Financial

Documents are leading. The Presentation does

not constitute an offer of securities or a

solicitation to make such an offer, and may not

be used for such purposes, in any jurisdiction

(including the member states of the European

Union and the United States) nor does it

constitute investment advice or an investment

recommendation in respect of any financial

instrument. Any securities referred to in the

Presentation have not been and will not be

registered under the US Securities Act of 1933.

The information in the Presentation is, unless

expressly stated otherwise, not intended for

residents of the United States or any "U.S.

person" (as defined in Regulation S of the US

Securities Act 1933). No reliance may be placed

on the information contained in the Presentation.

No representation or warranty, express or

implied, is given by or on behalf of ABN AMRO,

or any of its directors or employees as to the

accuracy or completeness of the information

contained in the Presentation. ABN AMRO

accepts no liability for any loss arising, directly

or indirectly, from the use of such information.

Nothing contained herein shall form the basis of

any commitment whatsoever. ABN AMRO has

included in this Presentation, and from time to

time may make certain statements in its public

statements that may constitute “forward-looking

statements”. This includes, without limitation,

such statements that include the words ‘expect’,

‘estimate’, ‘project’, ‘anticipate’, ‘should’, ‘intend’,

‘plan’, ‘probability’, ‘risk’, ‘Value-at-Risk (“VaR”)’,

‘target’, ‘goal’, ‘objective’, ‘will’, ‘endeavour’,

‘outlook’, 'optimistic', 'prospects' and similar

expressions or variations on such expressions.

In particular, the Presentation may include

forward-looking statements relating but not

limited to ABN AMRO’s potential exposures to

various types of operational, credit and market

risk. Such statements are subject to

uncertainties. Forward-looking statements are

not historical facts and represent only ABN

AMRO's current views and assumptions on

future events, many of which, by their nature,

are inherently uncertain and beyond our control.

Factors that could cause actual results to differ

materially from those anticipated by forward-

looking statements include, but are not limited

to, (macro)-economic, demographic and political

conditions and risks, actions taken and policies

applied by governments and their agencies,

financial regulators and private organisations

(including credit rating agencies), market

conditions and turbulence in financial and other

markets, and the success of ABN AMRO in

managing the risks involved in the foregoing.

Any forward-looking statements made by ABN

AMRO are current views as at the date they are

made. Subject to statutory obligations, ABN

AMRO does not intend to publicly update or

revise forward-looking statements to reflect

events or circumstances after the date the

statements were made, and ABN AMRO

assumes no obligation to do so.

Disclaimer

Website

ABN AMRO www.abnamro.com/ir

Questions

[email protected]

Address

Gustav Mahlerlaan 10

1082 PP Amsterdam

The Netherlands

20200212 Investor Relations – Q4 2019

http://www.abnamro.com/ir

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